The 39th volume of Séminaire de Probabilités is a tribute to the memory of Paul André Meyer. His life and achievements are recalled; homages are rendered by his friends and colleagues. This volume also contains mathematical contributions to classical and quantum stochastic calculus, the theory of processes, martingales and their applications to mathematical finance, Brownian motion. They provide an overview on the current trends of stochastic calculus.
Author(s): Meyer Paul André (auth.), Michel Émery, Marc Yor (eds.)
Series: Lecture Notes in Mathematics 1874
Edition: 1
Publisher: Springer-Verlag Berlin Heidelberg
Year: 2006
Language: English-French
Pages: 422
Tags: Probability Theory and Stochastic Processes;Quantitative Finance;Mathematical and Computational Physics;History of Mathematics
Front Matter....Pages i-viii
Titres et Travaux : Postface....Pages 1-12
The Life and Scientific Work of Paul André Meyer (August 21st, 1934 - January 30th, 2003) “Un modèle pour nous tous”....Pages 13-26
Disparition de Paul-André Meyer....Pages 27-34
Témoignages....Pages 35-46
Kernel and Integral Representations of Operators on Infinite Dimensional Toy Fock Spaces....Pages 47-60
Le Théorème de Pitman, le Groupe Quantique SU q (2), et une Question de P. A. Meyer....Pages 61-75
A Simple Proof of Two Generalized Borel-Cantelli Lemmas....Pages 77-79
Natural Decomposition of Processes and Weak Dirichlet Processes....Pages 81-116
A Lost Scroll....Pages 117-118
Stochastic Integration with Respect to a Sequence of Semimartingales....Pages 119-135
On Almost Sure Convergence Results in Stochastic Calculus....Pages 137-147
On a Condition that One-Dimensional Diffusion Processes are Martingales....Pages 149-156
Ito's Integrated Formula for Strict Local Martingales....Pages 157-170
Martingale-Valued Measures, Ornstein-Uhlenbeck Processes with Jumps and Operator Self-Decomposability in Hilbert Space....Pages 171-196
Sandwiched Filtrations and Lévy Processes....Pages 197-208
The Dalang–Morton–Willinger Theorem Under Delayed and Restricted Information....Pages 209-213
The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures....Pages 215-258
A Path Transformation of Brownian Motion....Pages 259-267
Two Recursive Decompositions of Brownian Bridge Related to the Asymptotics of Random Mappings....Pages 269-303
Pénalisations et Quelques Extensions du Théorème de Pitman, Relatives au Mouvement Brownien et à Son....Pages 305-336
Some Remarkable Properties of the Dunkl Martingales....Pages 337-356
Enroulements Browniens et Subordination dans les Groupes de Lie....Pages 357-380
Stochastic Covariant Calculus with Jumps and Stochastic Calculus with Covariant Jumps....Pages 381-417
Back Matter....Pages 418-422
